by Nicolas Rabener | Nov 14, 2022 | Uncategorized
Creating a CTA from Scratch How sophisticated are managed futures strategies? November 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY CTAs have become popular again given their positive returns in 2022 However, they are typically difficult to grasp...
by Nicolas Rabener | Nov 7, 2022 | Uncategorized
Sector & Factor Performance During Wartime Better than perhaps expected. November 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. This research note was originally published by the CFA Institute’s EI blog.SUMMARYThe S&P 500 increased during two of the...
by Nicolas Rabener | Oct 31, 2022 | Uncategorized
Volatility-based Equity Allocations The VIX is high, S&P 500 goodbye? October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The VIX currently trades within its top quartile since 1990 Using volatility to time equity allocations is a widely used...
by Nicolas Rabener | Oct 24, 2022 | Uncategorized
Thematic versus Momentum Investing Performance chasing with a narrative versus systematic performance chasing October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThematic products underperform the stock market on averageThe exposure to the momentum...
by Nicolas Rabener | Oct 17, 2022 | Uncategorized
Is the Carry Trade a Diversifying Strategy? Only if you have zero equity exposure. October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYThe carry trade was positive across most asset classes in YTD 2022The correlations to the S&P 500 were low...
by Nicolas Rabener | Oct 10, 2022 | Uncategorized
Managed Futures: The Empire Strikes Back Evaluating managed futures ETFs October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The AUM in managed futures ETFs has increased six-fold to $1.2bn in 2022 However, the performance of these ETFs was highly...
